AmeriCredit Financial Services is preparing to sponsor $1.5 billion in asset-backed securities through the AmeriCredit Automobile Receivables Trust, 2023-2, secured by loans on new and used vehicles. The pool has the highest concentration of 76- to 84-month contracts to date for the program.
AMCAR 2023-2, as the deal is known, is the program's ninth transaction and 24% of the pool has 76- to 84-month contracts, according to analysts from Fitch Ratings. This deprives observers and investors of robust performance data, because of the lack of seasoning. The previous deal, the AMCAR 2023-1, had a concentration of 19.8%.
Deutsche Bank is lead underwriter on the deal, according to Fitch. The Asset Securitization Report's deal database records several managers on the deal aside from Deutsche, including BNP Paribas, Goldman Sachs and J.P.Morgan Securities.
The deal will issue eight classes of notes, according to the ASR database, and the notes have legal final maturity dates that range from Sept. 18, 2024 through Feb. 18, 2032, according to Fitch and Moody's Investors Service, which also rated the notes. The A-1 through A-3 notes all have credit enhancement levels of 33.10%, say Fitch and Moody's. Almost all of the notes are fixed rate, except for the A-2-B notes, which will be benchmarked to the three-month Secured Overnight Financing Rate (SOFR).
Aside from initial credit enhancements, this AMCAR benefits from subordination, a reserve account representing 2.00% of the initial pool balance, overcollateralization of 2.00% of the initial pool, and excess spread of 6.42% of per annum, down slightly from 6.94% on the previous deal.
Some 57,442 loans are in the collateral pool, which have an average current principal balance of $27,706. On a weighted average (WA) basis, the loans have an average percentage rate (APR) of 14.71%, a loan-to-value (LTV) ratio of 106.1%, and a FICO score of 590.
Fitch assigns a base case proxy cumulative net loss ratio of 9.0% onto the deal, lower than the 10% that it saw on the AMCAR 2022-1 deal, and it noted that all outstanding transactions are extrapolating below 9.00%.
Fitch assigns ratings of F1+ to the A-1 class; 'AAA' to the A-2 through A-3 notes; 'AA' to the class B notes; 'A' to the class C notes; 'BB' to the class Ds and 'BB' to the class E notes.
Moody's expects to assign 'P1' to the A-1 notes; 'Aaa' to the A-2 through B notes; 'Aa2' to the class C notes; 'Baa1' to the class D notes and 'Ba1' to class E.
